I started this project well over a month ago. I just now got around to finish it. Hans has been giving me grief to no end.
While it looks like a Roman shade, it actually isn't. It can't go up and down - it's just there to look pretty and add some color.
The fabric came from Ikea, of all places, after I searched high and low in Austin and couldn't find what I wanted. I sewed it together with a piece of plain white muslin for a backing. After that, I folded and pinned the fabric where I wanted the layers to be. Using a needle and thread, I sewed little knots in several places to hold the folds in place without being too conspicuous. Each fold is anchored by a wooden dowel, to help keep the crease neat and to weigh it down a bit. Next, I attached the top of the shade to a thin strip of wood using a staple gun. Hans then hammered the wood anchor straight into the wall and voila! We have a shade.
Detailed instructions found at CentsationGirl.